Exchange Rate Volatility Pricing To Market And Trade Smoothing

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Exchange Rate Volatility Pricing To Market And Trade Smoothing

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Author : Mr.Peter B. Clark
language : en
Publisher: International Monetary Fund
Release Date : 1997-10-01

Exchange Rate Volatility Pricing To Market And Trade Smoothing written by Mr.Peter B. Clark and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-10-01 with Business & Economics categories.

This paper investigates the consequences of exchange rate volatility on the variability of export prices and quantities in the presence of market segmentation and pricing to market. Firms stabilize destination prices through systematic price discrimination, limiting the degree of exchange rate pass-through. Consequently, the variability of exchange rates is not fully translated into prices and quantities at the point of destination. Empirical estimates using aggregate price data for the G-7 industrial countries show incomplete pass-through in variances, with considerable variation among these countries. U.S. industry specific data also indicate incomplete pass-through in most cases, with considerable variation across industries.

Noise Trading Central Bank Interventions And The Informational Content Of Foreign Currency Options

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Author : Christian Pierdzioch
language : en
Publisher: Springer Science & Business Media
Release Date : 2001-12-06

Noise Trading Central Bank Interventions And The Informational Content Of Foreign Currency Options written by Christian Pierdzioch and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-12-06 with Business & Economics categories.

A flexible instrument to insure against adverse exchange rate movements are options on foreign currency. Often a relatively simple foreign currency option valuation model is used to address issues related to the pricing and hedging of such options. The results of many empirical studies document that real-world foreign currency option premia deviate from those predicted by the baseline model. In the first part of the book, it is shown that a noise trader model can help to explain the observed mispricing of the baseline foreign currency option pricing model. In the second part of the book, it is studied how policymakers can exploit the pricing errors of the baseline model. In particular, it is examined how option pricing theory can be applied to assess the effectiveness of central bank interventions in the foreign exchange market. To this end, a model is constructed to analyze the effectiveness of the interventions conducted by the Deutsche Bundesbank during the Louvre period.

Real Interest Rates Real Exchange Rates And Net Foreign Assets In The Adjustment Process

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Author : Mr.Thomas Helbling
language : en
Publisher: International Monetary Fund
Release Date : 1995-12

Real Interest Rates Real Exchange Rates And Net Foreign Assets In The Adjustment Process written by Mr.Thomas Helbling and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995-12 with Business & Economics categories.

This paper analyzes the recent behavior of real exchange rates, the trade balance and the net foreign asset position of the United States in an intertemporal optimizing model of the world economy that incorporates heterogeneity across countries and imperfect international capital and good markets. While the model successfully tracks the dynamics of trade balances and net foreign assets it generates too much consumption smoothing and excessively volatile relative prices. Resolving these inadequacies simultaneously is difficult as the elasticity of substitution between tradables and nontradables affects in opposite ways the degree of consumption smoothing and the volatility of relative prices.

Does Exchange Rate Volatility Hinder Export Growth

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Author : Ying Qian
language : en
Publisher: World Bank Publications
Release Date : 1992

Does Exchange Rate Volatility Hinder Export Growth written by Ying Qian and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Exports categories.

Inconsistency in the relationship between exchange rate volatility and export growth reflects differences among countries in the currency in which trade is invoiced. Also, exchange rate volatility may affect the allocation of trade more than its level.

Excess Volatility And The Asset Pricing Exchange Rate Model With Unobservable Fundamentals

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Author : Mr.Lorenzo Giorgianni
language : en
Publisher: International Monetary Fund
Release Date : 1999-05-01

Excess Volatility And The Asset Pricing Exchange Rate Model With Unobservable Fundamentals written by Mr.Lorenzo Giorgianni and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999-05-01 with Business & Economics categories.

This paper presents a method to test the volatility predictions of the textbook asset-pricing exchange rate model, which imposes minimal structure on the data and does not commit to a choice of exchange rate “fundamentals.” Our method builds on existing tests of excess volatility in asset prices, combining them with a procedure that extracts unobservable fundamentals from survey-based exchange rate expectations. We apply our method to data for the three major exchange rates since 1984 and find broad evidence of excess exchange rate volatility with respect to the predictions of the canonical asset-pricing model in an efficient market.

Handbook Of Exchange Rates

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Author : Jessica James
language : en
Publisher: John Wiley & Sons
Release Date : 2012-05-29

Handbook Of Exchange Rates written by Jessica James and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-05-29 with Business & Economics categories.

Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.

Consumption Smoothing And Exchange Rate Volatility

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Author : Bart G. Turtelboom
language : en
Publisher:
Release Date : 1995

Consumption Smoothing And Exchange Rate Volatility written by Bart G. Turtelboom and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with categories.

Exchange Rate Volatility And Trade Flows Some New Evidence

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Author : International Monetary Fund
language : en
Publisher: International Monetary Fund
Release Date : 2004-05-19

Exchange Rate Volatility And Trade Flows Some New Evidence written by International Monetary Fund and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-05-19 with Business & Economics categories.

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Exchange Rate Volatility Trade And Capital Flows Under Alternative Exchange Rate Regimes

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Author : Piet Sercu
language : en
Publisher: Cambridge University Press
Release Date : 2000-06-19

Exchange Rate Volatility Trade And Capital Flows Under Alternative Exchange Rate Regimes written by Piet Sercu and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-06-19 with Business & Economics categories.

Sercu and Uppal examine volatility of exchange rates in the context of dynamic general equilibrium models.

Soft Power And Exchange Rate Volatility

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Author : Mr.Serhan Cevik
language : en
Publisher: International Monetary Fund
Release Date : 2015-03-20

Soft Power And Exchange Rate Volatility written by Mr.Serhan Cevik and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-03-20 with Business & Economics categories.

Standard models—based exclusively on macro-financial variables—have made little progress in explaining the behavior of exchange rates. In this paper, we introduce a neglected set of “soft power” factors capturing a country’s demographic, institutional, political and social underpinnings to uncover the “missing” determinants of exchange rate volatility over time and across countries. Based on a balanced panel dataset comprising 115 countries during the period 1996–2011, the empirical results are generally robust across different estimation methodologies and show a high degree of persistence in exchange rate volatility, especially in emerging market economies. After controlling for standard macroeconomic factors, we find that the “soft power” variables—such as an index of voice and accountability, life expectancy, educational attainment, the z-score of banks, and the share of agriculture relative to services—have a statistically significant influence on the level of exchange rate volatility across countries.